Narrow search
Showing 1 - 10 of 11,181
Cover Image
Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models
DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Département de Sciences Économiques, Université de … - 2003
We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical...
Persistent link: https://www.econbiz.de/10005545654
Cover Image
A Non-Parametric Test of the Conditional CAPM for the Mexican Economy
Castillo-Spíndola, Jorge H. del - In: Estudios Económicos 21 (2006) 2, pp. 275-297
widely used is the Sharpe-Lintner-Black Capital Asset Pricing Model (CAPM). However many anomalies and evidence against this … version have been presented. To assume that the CAPM holds in a conditional sense is to assume that the betas and the market … risk premium vary along time. We present a test of the conditional version of the CAPM for the Mexican economy, that uses a …
Persistent link: https://www.econbiz.de/10005434714
Cover Image
Forward-Looking Betas
Christoffersen, Peter; Jacobs, Kris; Vainberg, Gregory - School of Economics and Management, University of Aarhus - 2007
Few issues are more important for finance practice than the computation of market betas. Existing approaches compute market betas using historical data. While these approaches differ in terms of statistical sophistication and the modeling of the time-variation in the betas, they are all...
Persistent link: https://www.econbiz.de/10005440055
Cover Image
Intertemporally non-separable monetary-asset risk adjustment and aggregation
Barnett, William A.; Wu, Shu - EconWPA - 2004
Modern aggregation theory and index number theory were introduced into monetary economics by Barnett (1980). The widely … used Divisia monetary aggregates were based upon that paper. A key result upon which the rest of the theory depended was …
Persistent link: https://www.econbiz.de/10005412580
Cover Image
DATA MINING SOBRE EL BETA EN ESPAÑA
Rubio, Fernando - EconWPA - 2004
Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar …
Persistent link: https://www.econbiz.de/10005413097
Cover Image
CAPITAL ASSET PRICING MODEL (CAPM) Y ARBITRAGE PRICING THEORY (APT): UNA NOTA TÉCNICA
Rubio, Fernando - EconWPA - 2004
Capital Asset Pricing Model (CAPM) y el Arbitrage Pricing Theory (APT), los dos modelos de valuación de activos de capital … realidad. Además, se presentan aplicaciones prácticas del CAPM y un análisis de las principales diferencias entre ambos modelos. …
Persistent link: https://www.econbiz.de/10005413116
Cover Image
Analysis of UAE Bank Stocks
Rao, Ananth - EconWPA - 2003
general models like multi-factor CAPM and arbitrage pricing theory (APT) models could be more appropriate models for analysing … and riskiness. Capital Asset Pricing Model (CAPM) a market equilibrium model is applied to these seven bank’s stocks. The …
Persistent link: https://www.econbiz.de/10005413135
Cover Image
Cashflow news, the value premium and an asset pricing view on European stock market integration
Nitschka, Thomas - Institut für Volkswirtschaftslehre, … - 2007
The decomposition of national CAPM market betas of European countries’ value and growth portfolio returns into cashflow … relatively well integrated stock markets among the core European countries and reflects basic asset pricing theory. One (national …
Persistent link: https://www.econbiz.de/10005463544
Cover Image
The CAPM and the risk appetite index; theoretical differences and empirical similarities
Pericoli, Marcello; Sbracia, Massimo - Banca d'Italia - 2006
measure of risk aversion derived from the CAPM � a model that does not require those restrictive assumptions � we find … approximate the risk aversion parameter of a CAPM. This occurs if the ratio between the variance of the returns on assets and the …
Persistent link: https://www.econbiz.de/10005467316
Cover Image
Market Demand Functions in the CAPM
Hens, Thorsten; Andres L=EEffler - University of Bonn, Germany - 1995
We demonstrate that in a CAPM economy Walras Law and the Tobin Separation Property characterize market demand in finite … sets of prices. Consequently, for any number n there exist CAPM economies which have at least n equilibria and hence have n …
Persistent link: https://www.econbiz.de/10004968172